Limit Order Book implementation

February 2, 2011

Fascinating blog on HFT implementation from WK. He commnts “a variation on this structure is to store the Limits in a sparse array instead of a tree. ” More detail on the implications for L1 and L2 cache behaviour of trees versus arrays for limits would be welcome. I’m assuming C++ implementation here of course, though WK points out you can make Java go fast if you avoid GC, which chimes with the experience of the LMAX guys. I ask because I interviewed with a big HFT firm last year: they gave me a programming exercise based on L1/2 cache behaviour.